In this paper, we prove the existence and uniqueness of random attractors for the FitzHugh-Nagumo system driven by colored noise with a nonlinear diffusion term. We demonstrate that the colored noise is much easier to deal with than the white noise for studying the pathwise dynamics of stochastic systems. In addition, we show the attractors of the random FitzHugh-Nagumo system driven by a linear multiplicative colored noise converge to that of the corresponding stochastic system driven by a linear multiplicative white noise.